Friday, October 5, 2012

Groupon (GRPN) - Vol Elevates to Back; Earnings Due out in Front?

GRPN is trading $5.28, up 10% with IV30™ up 10.7%. The LIVEVOL® Pro Summary is below.


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Groupon, Inc. (Groupon) is a local e-commerce marketplace that connects merchants to consumers by offering goods and services at a discount. Each day the Company e-mails its subscribers discounted offers for goods and services that are targeted by location and personal preferences.

This is a vol note -- specifically with rising vol now the back month is elevated to the front -- yet the front has an earnings report. Let's start with the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

On the stock side we can see the disintegration of shareholder value. Just six months ago this was a $14.18 stock. As of this writing, the stock is down ~63% in that time frame. The 52 wk range in stock price is [$4.00, 31.14], so the all-time low feels steps away while that all-time high seems miles ahead.

On the vol side we can see how elevated the implied got into the most recent earnings report (the "E" icon represents the earnings date). We can also see the gap down in stock price off of that news. Since then the IV30™ has fallen off and found a sort of quiet period (or equilibrium). I do note the upswing in vol today -- though it's hard to see in the chart, a 10.7% rise in the implied isn't trivial. The 52 wk range in IV30™ is [45.36%, 154.30%], putting the current level in just the 39th percentile.

It's the Skew Tab that caught my eye, though.

We can see pretty clearly that the green curve (Nov) lies on top of the yellow curve (Oct). But, as far a I can tell -- a number of sources are projecting that the next earnings release for GRPN is in mid Oct. So... what's the happs?...

Let's turn to the Options Tab, for completeness.

Across the top we can see that Oct (monthly) is priced to 80.79% while Nov is priced 94.05%. Again, earnings should be (might be?) in Oct. We can also see that Oct vol has risen more than 12 vol points today while Nov is up just 5 vol points. Something's up... that or earnings really are due out in Nov, but if that's the case, why did Oct vol pop so much today? Back to my previous pearl of wisdom... something's up...

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